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The Valuation of Nonsystematic Risks and the Pricing of Swedish Lottery Bonds
12 references·16 citing·45 second hop
The Valuation of Nonsystematic Risks and the Pricing of Swedish Lottery Bonds (1997)The Valuation of Nonsystematic Risks and …Liquidity, Taxes, and Short-Term Treasury Yields (1994)Liquidity, Taxes, and Short-T…Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets (1992)Systematic Risk, Hedging Pres…Choice Under Uncertainty: Problems Solved and Unsolved (1992)Choice Under Uncertainty: Pro…Residual Risk, Trading Costs, and Commodity Futures Risk Premia: (1988)Residual Risk, Trading Costs,…Choice Under Uncertainty: Problems Solved and Unsolved (1987)Choice Under Uncertainty: Pro…A unified beta pricing theory (1984)A unified beta pricing theoryDo Sunspots Matter? (1983)Do Sunspots Matter?An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…Mutual fund separation in financial theory—The separating distributions (1978)Mutual fund separation in fin…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…The Utility Analysis of Choices Involving Risk (1948)The Utility Analysis of Choic…Can Gambling Increase Savings? Empirical Evidence on Prize-Linked Savings Accounts (2021)Can Gambling Increase Savings…Investor Rationality and Financial Decisions (2012)Investor Rationality and Fina…Don't Believe the Hype: Local Media Slant, Local Advertising, and Firm Value (2012)Don't Believe the Hype: Local…Do Financial Experts Make Better Investment Decisions? (2012)Do Financial Experts Make Bet…Idiosyncratic Volatility and the Cross Section of Expected Returns (2008)Idiosyncratic Volatility and …Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation (2007)Optimal portfolio allocation …Common liquidity shocks and market collapse: Lessons from the market for perps (2007)Common liquidity shocks and m…Market Frictions, Price Delay, and the Cross-Section of Expected Returns (2005)Market Frictions, Price Delay…Do Behavioral Biases Affect Prices? (2005)Do Behavioral Biases Affect P…Are Investors Rational? Choices among Index Funds (2004)Are Investors Rational? Choic…Idiosyncratic Risk Matters! (2003)Idiosyncratic Risk Matters!Limited Arbitrage in Equity Markets (2002)Limited Arbitrage in Equity M…Ex-Day Behavior When Investors and Professional Traders Assume Reverse Roles: The Case of Danish Lottery Bonds (2002)Ex-Day Behavior When Investor…Does Arbitrage Flatten Demand Curves for Stocks? (2002)Does Arbitrage Flatten Demand…Are Investors Rational? Choices Among Index Funds (2002)Are Investors Rational? Choic…Idiosyncratic Risk and Security Returns (2001)Idiosyncratic Risk and Securi…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Financial Intermediation and Delegated Monitoring (1984)Judgment under Uncertainty: Heuristics and Biases (1974)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)International Norm Dynamics and Political Change (1998)The Institutional Dynamics of International Political Orders (1998)Anomalies: Risk Aversion (2001)PORTFOLIO SELECTION* (1952)A Theory of the Term Structure of Interest Rates (1985)Efficient Capital Markets: II (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The equity premium: A puzzle (1985)Economic Forces and the Stock Market (1986)Does the Stock Market Overreact? (1985)Noise Trader Risk in Financial Markets (1990)Industry costs of equity (1997)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Does the stock market fully value intangibles? Employee satisfaction and equity prices (2011)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Risk, Return, and Equilibrium: Empirical Tests (1973)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)TALKING TRASH: LEGITIMACY, IMPRESSION MANAGEMENT, AND UNSYSTEMATIC RISK IN THE CONTEXT OF THE NATURAL ENVIRONMENT. (2004)The Cross‐Section of Volatility and Expected Returns (2006)Social Capital, Trust, and Firm Performance: The Value of Corporate Social Responsibility during the Financial Crisis (2016)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Driven to Distraction: Extraneous Events and Underreaction to Earnings News (2009)… and the Cross-Section of Expected Returns (2015)Risk, Ambiguity, and the Savage Axioms (1961)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Why do people pay taxes? (1992)The irrelevance of inference: a decision-making approach to the stochastic evaluation of health care technologies (1999)Toward a positive theory of consumer choice (1980)Risk as feelings. (2001)Bank Runs, Deposit Insurance, and Liquidity (1983)Rational and Self-Fulfilling Balance-of-Payments Crises (1984)Social Value of Public Information (2002)
this work references cited by second hop

References

  • 1976The arbitrage theory of capital asset pricing7,207 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1948The Utility Analysis of Choices Involving Risk3,097 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 1983Do Sunspots Matter?1,017 cited
  • 1992Choice Under Uncertainty: Problems Solved and Unsolved948 cited
  • 1987Choice Under Uncertainty: Problems Solved and Unsolved878 cited
  • 1992Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets538 cited
  • 1978Mutual fund separation in financial theory—The separating distributions345 cited
  • 1988Residual Risk, Trading Costs, and Commodity Futures Risk Premia:321 cited
  • 1984A unified beta pricing theory319 cited
  • 1994Liquidity, Taxes, and Short-Term Treasury Yields278 cited

Cited by

  • 2003Idiosyncratic Risk Matters!1,171 cited
  • 2005Market Frictions, Price Delay, and the Cross-Section of Expected Returns1,088 cited
  • 2002Does Arbitrage Flatten Demand Curves for Stocks?887 cited
  • 2008

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Idiosyncratic Volatility and the Cross Section of Expected Returns
660 cited
  • 2012Don't Believe the Hype: Local Media Slant, Local Advertising, and Firm Value613 cited
  • 2005Do Behavioral Biases Affect Prices?613 cited
  • 2001Idiosyncratic Risk and Security Returns421 cited
  • 2002Limited Arbitrage in Equity Markets411 cited
  • 2004Are Investors Rational? Choices among Index Funds357 cited
  • 2012Investor Rationality and Financial Decisions66 cited
  • 2002Are Investors Rational? Choices Among Index Funds55 cited
  • 2021Can Gambling Increase Savings? Empirical Evidence on Prize-Linked Savings Accounts43 cited
  • 2002Ex-Day Behavior When Investors and Professional Traders Assume Reverse Roles: The Case of Danish Lottery Bonds35 cited
  • 2007Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation24 cited
  • 2012Do Financial Experts Make Better Investment Decisions?21 cited
  • 2007Common liquidity shocks and market collapse: Lessons from the market for perps20 cited